期刊名称：Economics Discussion Papers / Department of Economics, College of Management and Economics, University of Guelph
出版年度：2010
卷号：2010
期号：01
出版社：University of Guelph
摘要：We propose a modified version of the nonparametric level crossing random walk
test, in which the crossing level is determined locally. This modification results
in a test that is robust to unknown multiple structural breaks in the level and
slope of the trend function under both the null and alternative hypothesis. No
knowledge regarding the number or timing of the breaks is required. A bootstrap
method is suggested to select the extent of the localization in order to maximize
power in a proximate model. To control overall test size we propose a second
outer bootstrap, in which we replicate the entire procedure, including the inner
bootstrap used to select the localization parameter. The test is applied to
Canadian nominal inflation and nominal interest rate series with implications
for the Fisher hypothesis.
关键词：Level crossing, random walk, structural breaks, unit root,
robustness.
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